Thanos doesn't have to be more powerful than Odin to be a threat, because The Avengers are nowhere near Odin's level of power.

No, he doesn't. But his point is that if he is someone Odin can handle, why wouldn't Odin just handle it? and if Surtur is even MORE powerful than Odin, killing him, who is in turn far more powerful than Thanos, how can Thanos be considered a legitimate threat if Odin can stop him, along with there being a being powerful enough to kill Odin as well? Not to mention, said being (surtur) wants to destroy the 9 realms. Something Thanos has in mind as well. I think that is the conflict here.